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Does beta react to market conditions? : Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter
Woodward, G. Thomas; Anderson, Heather M. - 2003
Persistent link: https://www.econbiz.de/10001854374
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Introducing non-linear dynamics to the two-regime market model: evidence
Woodward, G. Thomas; Marisetty, Vijaya B. - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 559-581
Persistent link: https://www.econbiz.de/10003099283
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Do realized betas exhibit up/down market tendencies?
Woodward, G. Thomas; Brooks, Robert - In: International review of economics & finance : IREF 18 (2009) 3, pp. 511-519
Persistent link: https://www.econbiz.de/10003881651